R: Toolkit for Reduced Form and Structural Smooth Transition Vector Autoregressive Models

# Toolkit for Reduced Form and Structural Smooth Transition Vector Autoregressive Models

## Documentation for package ‘sstvars’ version 1.2.4

- DESCRIPTION file
- User guides, package vignettes and other documentation
- Package NEWS
- Package README

## Help Pages

sstvars-package | sstvars: toolkit for reduced form and structural smooth transition vector autoregressive models
acidata | U.S. Actuaries Climate Index, GDP growth rate, CPI, and interest rate data
alt_stvar | Construct a STVAR model based on results from an arbitrary estimation round of 'fitSTVAR'
bound_JSR | Calculate upper bound for the joint spectral radius of the "companion form AR matrices" of the regimes
bound_jsr_G | Calculate upper bound for the joint spectral radius of a set of matrices
calc_gradient | Calculate gradient or Hessian matrix
calc_hessian | Calculate gradient or Hessian matrix
cfact_fore | Simulate counterfactual forecast scenarios for structural STVAR models.
cfact_girf | Simulate counterfactual generalized impulse response functions for structural STVAR models.
cfact_hist | Simulate historical counterfactual for structural STVAR models.
check_params | Check whether the parameter vector is in the parameter space and throw error if not
diagnostic_plot | Residual diagnostic plot for a STVAR model
diag_Omegas | Simultaneously diagonalize two covariance matrices
filter_estimates | Filter inappropriate the estimates produced by fitSTVAR
fitSSTVAR | Maximum likelihood estimation of a structural STVAR model based on preliminary estimates from a reduced form model.
fitSTVAR | Two-phase or three-phase (penalized) maximum likelihood estimation of a reduced form smooth transition VAR model
GAfit | Genetic algorithm for preliminary estimation of reduced form STVAR models
gdpdef | U.S. real GDP percent change and GDP implicit price deflator percent change
get_foc | Calculate gradient or Hessian matrix
get_gradient | Calculate gradient or Hessian matrix
get_hessian | Calculate gradient or Hessian matrix
get_hetsked_sstvar | Switch from two-regime reduced form STVAR model to a structural model identified by heteroskedasticity
get_penalized_IC | Calculate penalized AIC, HQIC, and BIC
get_soc | Calculate gradient or Hessian matrix
GFEVD | Estimate generalized forecast error variance decomposition for structural STVAR models.
GIRF | Estimate generalized impulse response function for structural STVAR models.
hist_decomp | Compute historical decompositions for structural STVAR models.
in_paramspace | Determine whether the parameter vector is in the parameter space
iterate_more | Maximum likelihood estimation of a reduced form or structural STVAR model based on preliminary estimates
linear_IRF | Estimate linear impulse response function based on a single regime of a structural STVAR model.
logLik.stvar | Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model
LR_test | Perform likelihood ratio test for a STVAR model
plot.cfactfore | Simulate counterfactual forecast scenarios for structural STVAR models.
plot.cfactgirf | Simulate counterfactual generalized impulse response functions for structural STVAR models.
plot.cfacthist | Simulate historical counterfactual for structural STVAR models.
plot.gfevd | Estimate generalized forecast error variance decomposition for structural STVAR models.
plot.girf | Estimate generalized impulse response function for structural STVAR models.
plot.histdecomp | Compute historical decompositions for structural STVAR models.
plot.irf | Estimate linear impulse response function based on a single regime of a structural STVAR model.
plot.stvar | Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model
plot.stvarpred | Predict method for class 'stvar' objects
plot_struct_shocks | Plot structural shock time series of a STVAR model
Portmanteau_test | Perform adjusted Portmanteau test for a STVAR model
predict.stvar | Predict method for class 'stvar' objects
print.cfactfore | Simulate counterfactual forecast scenarios for structural STVAR models.
print.cfactgirf | Simulate counterfactual generalized impulse response functions for structural STVAR models.
print.cfacthist | Simulate historical counterfactual for structural STVAR models.
print.gfevd | Estimate generalized forecast error variance decomposition for structural STVAR models.
print.girf | Estimate generalized impulse response function for structural STVAR models.
print.histdecomp | Compute historical decompositions for structural STVAR models.
print.hypotest | Print method for the class hypotest
print.irf | Estimate linear impulse response function based on a single regime of a structural STVAR model.
print.stvar | Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model
print.stvarpred | Predict method for class 'stvar' objects
print.stvarsum | Summary print method from objects of class 'stvarsum'
profile_logliks | Plot profile log-likelihood functions about the estimates
Rao_test | Perform Rao's score test for a STVAR model
redecompose_Omegas | In the decomposition of the covariance matrices (Muirhead, 1982, Theorem A9.9), change the ordering of the covariance matrices.
reorder_B_columns | Reorder columns of impact matrix B of a structural STVAR model that is identified by heteroskedasticity or non-Gaussianity.
residuals.stvar | Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model
simulate.stvar | Simulate method for class 'stvar' objects
sstvars | sstvars: toolkit for reduced form and structural smooth transition vector autoregressive models
STVAR | Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model
stvar_to_sstvars110 | Update STVAR model estimated with a version of the package <1.1.0 to be compatible with the versions >=1.1.0.
summary.stvar | Create a class 'stvar' object defining a reduced form or structural smooth transition VAR model
swap_B_signs | Swap all signs in pointed columns of the impact matrix of a structural STVAR model that is identified by heteroskedasticity or non-Gaussianity
swap_parametrization | Swap the parametrization of a STVAR model
uncond_moments | Calculate the unconditional means, variances, the first p autocovariances, and the first p autocorrelations of the regimes of the model.
usacpu | U.S. climate policy uncertainty, economic policy uncertainty, industrial production, consumer price index,
usamone | U.S. real GDP, GDP implicit price deflator, and interest rate data
Wald_test | Perform Wald test for a STVAR model